Pages that link to "Item:Q3063006"
From MaRDI portal
The following pages link to The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection (Q3063006):
Displaying 15 items.
- Asymmetric multivariate normal mixture GARCH (Q961408) (← links)
- Bayesian estimation of the Gaussian mixture GARCH model (Q1019890) (← links)
- A generalized dynamic conditional correlation model for portfolio risk evaluation (Q1025339) (← links)
- Dynamic factor multivariate GARCH model (Q1623556) (← links)
- A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection (Q1659170) (← links)
- Fast clustering of GARCH processes via Gaussian mixture models (Q2227446) (← links)
- A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation (Q2255951) (← links)
- Bayesian semiparametric multivariate GARCH modeling (Q2442573) (← links)
- Joint forecasts of Dow Jones stocks under general multivariate loss function (Q2445692) (← links)
- Intradaily dynamic portfolio selection (Q2445697) (← links)
- An approach to VaR for capital markets with Gaussian mixture (Q2572749) (← links)
- A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets (Q3182774) (← links)
- Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk (Q4960660) (← links)
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices (Q6064131) (← links)
- A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets (Q6623167) (← links)
